Largely it's because the optimizer isn't thinking things through the way you would. It sees that it would like to have that column and adds it to the INCLUDE list. This is why almost every time you see someone show just how slick and cool the missing index information is, they usually add all kinds of caveats about testing, verification, double-checking, etc.

Read the answers to this question, then ask yourself - is the PK column part of the index that I am using to look up data with? Or is it part of a separate index which needs to be referenced separately?